(Answered) Exhibit T19.1 Return statistics Annual returns Correlations Mean Mean Std dev SI(W) Beta(W) CA CH GE IN JA UK US Canada (CA) 11.0% 28.340 1.11 China...

Exhibit T19.1 Return statistics Annual returns Correlations Mean Mean Std dev SI(W) Beta(W) CA CH GE IN JA UK US Canada (CA) 11.0% 28.340 1.11 China...

1.  Based on Exhibit T19.1, what is the standard deviation of an equal-weighted portfolio of Canadian and German equities?*     e.  27.8%2.  Based on Exhibit T19.1, what is the Sharpe index of an equal-weighted portfolio of Canadian and German equities? *     e.  0.3083.  Based on Exhibit T19.1, what is the standard deviation of an equal-weighted portfolio of Indian and Chinese equities?*     e.  40.1%4.  Based on Exhibit T19.1, what is the Sharpe index of an equal-weighted portfolio of Indian and Chinese equities? *     e.  0.4685.  Based on Exhibit T19.1, what is the standard deviation of an equal-weighted portfolio of U.S. treasuries and U.S. equities?*     a.   9.8%Exhibit T19.1 Return statistics

 

Annual returns

 

Correlations

 

Mean

 

Mean

 

Std dev

 

SI(W) Beta(W)

 

CA

 

CH

 

GE

 

IN

 

JA

 

UK

 

US

 

Canada (CA)

 

11.0%

 

28.1%

 

0.340

 

1.11

 

China (CH)

 

18.0%

 

42.1%

 

0.390

 

1.18

 

0.72

 

Germany (GE)

 

9.1%

 

31.1%

 

0.240

 

1.47

 

0.76

 

0.65

 

India (IN)

 

22.5%

 

45.6%

 

0.460

 

1.29

 

0.70

 

0.67

 

0.64

 

Japan (JA)

 

3.5%

 

20.0%

 

0.100

 

0.70

 

0.60

 

0.51

 

0.56

 

0.56

 

U.K. (UK)

 

7.2%

 

23.5%

 

0.240

 

1.00

 

0.82

 

0.66

 

0.87

 

0.63

 

0.61

 

U.S. (US)

 

6.6%

 

19.6%

 

0.260

 

0.93

 

0.81

 

0.63

 

0.88

 

0.62

 

0.57

 

0.85

 

U.S. treasuries

 

1.5%

 

1.7%

 

0.000

 

0.00

 

0.05

 

0.14

 

0.04

 

0.08

 

0.00

 

0.03

 

-0.05

 

Source: Annual USD net returns to Morgan Stanley Capital International (msci.com) indices. Sharpe

 

Indices (μ

 

i

 

– μ

 

F

 

)/σ

 

i

 

are based on annual returns and Treasury yields from the U.S. Federal Reserve

 

(federalreserve.gov). Betas and correlations are based on monthly returns.

 

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